We derive the asymptotic distribution of residual autocorrelations for the Weibull autoregressive conditional duration (ACD) model, and this leads to a portmanteau test for the adequacy of the fitted Weibull ACD model. The finite-sample performance of this test is evaluated by simulation experiments and a real data example is also reported.
CITATION STYLE
Zheng, Y., Li, Y., Li, W. K., & Li, G. (2016). Diagnostic checking forweibull autoregressive conditional duration models. In Fields Institute Communications (Vol. 78, pp. 107–114). Springer New York LLC. https://doi.org/10.1007/978-1-4939-6568-7_4
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